Research Article
A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market
Table 3
Model
evaluation results.
| Option | AHR | BSAHR |
| BAC+CJ | | | BAC+CW | | | BAC+CX | | | BAC+JV | | | CYQ+CE | | | CYQ+CX | | | CYQ+CY | | | GE+CG | | | GE+CY | | | GE+CZ | | | GE+JF | | | HNZ+CI | | | HNZ+CJ | | | INQ+JE | | | INQ+CD | | | MER+CP | | | MS+CO | | | MQF+JX | | | MSQ+CK | | | MSQ+JE | | | WMT+CH | | | WMT+CJ | | | WMT+JJ | | | XOM+CN | | | XOM+CO | | | XOM+JI | | | XOM+JV | | |
|
|
AHR: Algorithmic
Accumulated Hedge Residual. BSAHR: Black-Scholes Accumulated Hedge Residual.
|